Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects
From MaRDI portal
Publication:738124
DOI10.1016/j.jeconom.2011.10.001zbMath1441.62897OpenAlexW2168181178MaRDI QIDQ738124
Publication date: 15 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.10.001
Related Items (20)
A robust test for serial correlation in panel data models ⋮ Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework ⋮ Framing and feedback in social dilemmas with partners and strangers ⋮ Challenges for Panel Financial Analysis ⋮ Intercept homogeneity test for fixed effect models under cross-sectional dependence: some insights ⋮ A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data ⋮ Standard errors for panel data models with unknown clusters ⋮ Autoregressive spatial spectral estimates ⋮ Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects ⋮ HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA ⋮ Heterogeneous panel data models with cross-sectional dependence ⋮ Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes ⋮ Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework ⋮ Inference and testing breaks in large dynamic panels with strong cross sectional dependence ⋮ A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data ⋮ Inference on difference-in-differences average treatment effects: a fixed-\(b\) approach ⋮ Inference without smoothing for large panels with cross-sectional and temporal dependence ⋮ Significance test in nonstationary logit panel model with serially correlated dependent variable ⋮ ON SIZE AND POWER OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS ⋮ Inference in time series models using smoothed-clustered standard errors
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- GMM estimation with cross sectional dependence
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- HAC estimation in a spatial framework
- Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large
- Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix
- Inference with dependent data using cluster covariance estimators
- A functional central limit theorem for stationary random fields
- Second-order correctness of the blockwise bootstrap for stationary observations
- FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS
- t-Statistic Based Correlation and Heterogeneity Robust Inference
- THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- On functional central limit theorem for stationary martingale random fields
- How Much Should We Trust Differences-In-Differences Estimates?
- Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
This page was built for publication: Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects
